Differentiability of the arrival time

DOI10.1002/CPA.21635zbMATH Open1353.53068arXiv1501.07899OpenAlexW2964244742MaRDI QIDQ2834860FDOQ2834860

Authors: Tobias Holck Colding, William P. II Minicozzi 

Publication date: 24 November 2016

Published in: Communications on Pure and Applied Mathematics (Search for Journal in Brave)

Abstract: For a monotonically advancing front, the arrival time is the time when the front reaches a given point. We show that it is twice differentiable everywhere with uniformly bounded second derivative. It is smooth away from the critical points where the equation is degenerate. We also show that the critical set has finite codimensional two Hausdorff measure. For a monotonically advancing front, the arrival time is equivalent to the level set method; a priori not even differentiable but only satisfies the equation in the viscosity sense. Using that it is twice differentiable and that we can identify the Hessian at critical points, we show that it satisfies the equation in the classical sense. The arrival time has a game theoretic interpretation. For the linear heat equation, there is a game theoretic interpretation that relates to Black-Scholes option pricing. From variations of the Sard and Lojasiewicz theorems, we relate differentiability to whether or not singularities all occur at only finitely many times for flows.

Full work available at URL: https://arxiv.org/abs/1501.07899

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zbMATH Keywords

Hausdorff measurecritical setadvancing frontBlack-Scholes option pricing[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=%EF%BF%BD%EF%BF%BDojasiewicz+theorems&go=Go ��ojasiewicz theorems]

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) 2-person games (91A05) Higher-dimensional and -codimensional surfaces in Euclidean and related (n)-spaces (53A07)

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Cited In (16)

• Analytical properties for degenerate equations
• The singular set of mean curvature flow with generic singularities
• Lower semicontinuity of mass under \(C^0\) convergence and Huisken's isoperimetric mass
• Relative arbitrage: Sharp time horizons and motion by curvature
• Singular set and curvature blow-up rate of the level set flow
• Uniqueness of blowups and Łojasiewicz inequalities
• A note on the selfsimilarity of limit flows
• An example of a mean-convex mean curvature flow developing infinitely many singular epochs
• Sharp frequency bounds for eigenfunctions of the Ornstein-Uhlenbeck operator
• Generic Regularity of Level Set Flows with Spherical Singularity
• Arrival times for the wave equation
• Evolution of form and shape
• Entropy in mean curvature flow
• Asymptotics for the level set equation near a maximum
• Foremost non-stop journey arrival in linear time
• Regularity of elliptic and parabolic systems

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